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AlternativeSoft - Quant Insight: Rachev Ratio, How Is It Calculated, and Does It Help to Prevent Drawdowns?

AlternativeSoft - Quant Insight: Rachev Ratio, How Is It Calculated, and Does It Help to Prevent Drawdowns?
This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20210601005202/en/
(Graphic: Business Wire)
Rachev ratio is a useful statistic that divides the average of right tail (extreme positive) returns by the average of left tail (extreme negative) returns at given percentiles equidistant from the mean. It goes without saying that the lower this ratio is, the higher is the probability of extreme gains relative to extreme losses. (assuming a negative left tail CVaR).
In this article we will evaluate whether Rachev Ratio can be a metric used to avoid significant drawdowns. To do so, we will select the 10 top AUM Long Short Equity Hedge funds that have a long track record (>15 years). All the funds are available for sale in the US and are traded in USD. ....

Kostenloser Wertpapierhandel , Mitesh Gohil , Rachev Ratio , Business Wire , Short Equity Hedge , Historical Rachev Ratio , Max Drawdowns , Rachev Ratios , Asset Analysis , Asset Selection , Portfolio Management , Peer Groups , மீத்தேஷ் கோஹில் , வணிக கம்பி , குறுகிய பங்கு ஹெட்ஜ் , சொத்து பகுப்பாய்வு , சொத்து தேர்வு , போர்ட்‌ஃபோலீயோ மேலாண்மை , பியர் குழுக்கள் ,

ETF Performance of The Biggest 12 Economic Sectors (2020)

ETF Performance of The Biggest 12 Economic Sectors (2020) - AlternativeSoft
Technology has been the industry sector with the highest Annualized Return and Annual Sharpe Ratio in 2020.
In this article we will analyse the performance of industries via sector specific ETFs taken from Morningstar. A total of 525 EFTs worldwide for 12 economic sectors were used for this analysis. For each industry we computed AUM weighted statistics.
Table 1: Performance of the economic sectors in 2020
Annualized Return
Normal Monthly VaR 95%
33.92%
The table above is ranked based on annualized returns.
The technology sector was the best performing sector of 2020 with the highest annualized return at 63.89% and the highest annual Sharpe Ratio at 1.99. The second industry based on annualized return at 61.87% is the Utilities sector and based on the Sharpe Ratio is the healthcare sector with a ratio of 1.56. ....

Kostenloser Wertpapierhandel , Mitesh Gohil , Communications Sector Equity , Technology Sector Equity , Consumer Goods Services Sector Equity , Energy Sector Equity , Annualized Return , Annual Sharpe Ratio , Sharpe Ratio , Monthly Var , மீத்தேஷ் கோஹில் , தொழில்நுட்பம் துறை பங்கு , நுகர்வோர் பொருட்கள் சேவைகள் துறை பங்கு , ஆற்றல் துறை பங்கு , கூர்மையான ரேஶியோ ,

The Difference Between the Sharpe Ratio (SR) and the Smart Sharpe Ratio

The Sharpe Ratio ("SR") does not consider sharp drawdowns, while Smart Sharpe Ratio does. This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20210527005597/en/Sharpe ....

Kostenloser Wertpapierhandel , Mitesh Gohil , Sharpe Ratio , Smart Sharpe Ratio , Business Wire , Asset Analysis , Autocorrelation Penalty , Smart Sharpe , மீத்தேஷ் கோஹில் , கூர்மையான ரேஶியோ , புத்திசாலி கூர்மையான ரேஶியோ , வணிக கம்பி , சொத்து பகுப்பாய்வு ,

Analysis of the Momentum Strategy on Hedge Funds from 2020 to 2021 by AlternativeSoft

We selected the 5 funds with the highest 2020 returns to see if a simple momentum would have worked in 2021. Using data from HFR and Eurekahedge, we selected the top performing funds of 2020. These ....

Kostenloser Wertpapierhandel , Mitesh Gohil , Senverst Master Fund , Loyola Capital Fund Ltd , Andurand Commodities Discretionary Enhanced Fund Ltd , Fund Name , Short Equities , Managed Futures , Commodities Discretionary Enhanced Fund , Circle Investors , Diversified Trend , Master Fund , Alternative Investment , மீத்தேஷ் கோஹில் , நிதி பெயர் , குறுகிய பங்குகள் , நிர்வகிக்கப்பட்டது எதிர்காலங்கள் , வட்டம் முதலீட்டாளர்கள் , குரு நிதி , மாற்று முதலீடு ,

Best Performing Funds from March 2020 to March 2021 by AlternativeSoft

Best Performing Funds from March 2020 to March 2021 by AlternativeSoft
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Kostenloser Wertpapierhandel , Mitesh Gohil , Jensen Alpha , Hedge Fund , Mutual Fund , Vanguard Total Stock Market Index Fund Admiral , Bridgewater Pure Alpha , Hedge Funds , Mutual Funds , Annualized Return , Annualized Volatility , Normal Monthly Var , Max Drawdown , Computed Between March , Pure Alpha , Sharpe Ratio , Information Ratio , Possible Drawdown , Annualized Return Mar , Bridgewater Associates , மீத்தேஷ் கோஹில் , ஜென்சன் ஆல்பா , ஹெட்ஜ் நிதி , பரஸ்பர நிதி , பாலம் நீர் தூய்மையானது ஆல்பா , அதிகபட்சம் வரைவு ,